Stock's and Watson's (1993) Data.

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Description

Data set used by Stock and Watson (1993) to estimate co-integration. This dataset contains the following columns:

  • lnm1 Log M1.

  • lnp Log NNP price deflator.

  • lnnnp Log NNP.

  • cprate A numeric vector.

  • year Commercial paper rate.

Usage

1

Format

A data.frame object with \Sexpr[stage=build,results=rd]{ncol(SciencesPo::swatson93)} variables and \Sexpr[stage=build,results=rd]{nrow(SciencesPo::swatson93)} observations.

Source

Hayashi, F. (2000). Econometrics. Princeton. New Jersey, USA: Princeton University. http://fmwww.bc.edu/ec-p/data/Hayashi/

References

Stock, J. H., and Watson, M. W. (1993) A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica: Journal of the Econometric Society, 783–820.

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